HLNE vs XLF: returns, Sharpe ratio and drawdown
Performance
HLNE-31.69%XLF+5.17%
Summary
HLNE vs XLF
Over the past year, XLF returned +5.17% against -31.69% for HLNE. Over five years, XLF averaged +6.68% a year, compared with -4.80% for HLNE. XLF had the higher Sharpe ratio over the past year (0.11 vs -0.83), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -52.03% for HLNE.
Current Drawdown
HLNE-46.80%XLF-5.19%
Rolling Volatility
HLNE+1.57%XLF+0.77%
METRICS
Correlation Matrix
Metrics
Risk Indicators
HLNEXLF
Alpha
HLNE
-45.49%
XLF
-3.77%
Beta
HLNE
1.19x
XLF
0.58x
Sharpe
HLNE
-0.83
XLF
0.11
Sortino
HLNE
-1.11
XLF
0.16
Omega
HLNE
0.87
XLF
1.02
Calmar
HLNE
-0.61
XLF
0.34
Martin
HLNE
-1.04
XLF
0.26
Comparisons